-
1
-
-
2442519260
-
The pricing of discretely sampled Asian and lookback options: A change of numeraire approach
-
Andreasen, J. (1998). The pricing of discretely sampled Asian and lookback options: A change of numeraire approach. Journal of Computational Finance 2(1): 5-30.
-
(1998)
Journal of Computational Finance
, vol.2
, Issue.1
, pp. 5-30
-
-
Andreasen, J.1
-
3
-
-
33750623970
-
Bounds on expectations of linear systematic statistics based on dependent samples
-
Arnold, B.C. & Groeneveld, R.A. (1979). Bounds on expectations of linear systematic statistics based on dependent samples. Mathematics of Operations Research 4(4): 441-447.
-
(1979)
Mathematics of Operations Research
, vol.4
, Issue.4
, pp. 441-447
-
-
Arnold, B.C.1
Groeneveld, R.A.2
-
4
-
-
0042969100
-
Upper (lower) bounds on the mean of the maximum (minimum) of a number of random variables
-
Aven, T. (1985). Upper (lower) bounds on the mean of the maximum (minimum) of a number of random variables. Journal of Applied Probability 22: 723-728.
-
(1985)
Journal of Applied Probability
, vol.22
, pp. 723-728
-
-
Aven, T.1
-
5
-
-
14944365520
-
Probabilistic combinatorial optimization: Moments, semidefinite programming and asymptotic bounds
-
Bertsimas, D., Natarajan, K., & Teo, C.-P. (2004). Probabilistic combinatorial optimization: Moments, semidefinite programming and asymptotic bounds. SIAM Journal of Optimization 15(1): 185-209.
-
(2004)
SIAM Journal of Optimization
, vol.15
, Issue.1
, pp. 185-209
-
-
Bertsimas, D.1
Natarajan, K.2
Teo, C.-P.3
-
6
-
-
0036508521
-
On the relation between option and stock prices: A convex optimization approach
-
Bertsimas, D. & Popescu, I. (2002). On the relation between option and stock prices: A convex optimization approach. Operations Research 50(2): 358-374.
-
(2002)
Operations Research
, vol.50
, Issue.2
, pp. 358-374
-
-
Bertsimas, D.1
Popescu, I.2
-
7
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F. & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81: 637-654.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-654
-
-
Black, F.1
Scholes, M.2
-
8
-
-
0031537003
-
Bounds on contingent claims based on several assets
-
Boyle, P. & Lin, X.S. (1997). Bounds on contingent claims based on several assets. Journal of Financial Economics 46: 383-400.
-
(1997)
Journal of Financial Economics
, vol.46
, pp. 383-400
-
-
Boyle, P.1
Lin, X.S.2
-
10
-
-
0002663322
-
The maximum of the mean largest value and of the range
-
Gumbel, E.J. (1954). The maximum of the mean largest value and of the range. Annals of Mathematical Statistics 25: 76-84.
-
(1954)
Annals of Mathematical Statistics
, vol.25
, pp. 76-84
-
-
Gumbel, E.J.1
-
11
-
-
0002515764
-
Universal bounds for mean range and extreme observations
-
Hartley, H.O. & David, H.A. (1954). Universal bounds for mean range and extreme observations. Annals of Mathematical Statistics 25: 85-89.
-
(1954)
Annals of Mathematical Statistics
, vol.25
, pp. 85-89
-
-
Hartley, H.O.1
David, H.A.2
-
13
-
-
0005037941
-
Minimax procedure for a class of linear programs under uncertainty
-
Jagannathan, R. (1976). Minimax procedure for a class of linear programs under uncertainty. Operations Research 25(1): 173-176.
-
(1976)
Operations Research
, vol.25
, Issue.1
, pp. 173-176
-
-
Jagannathan, R.1
-
16
-
-
45949116982
-
Semi-parametric upper bounds for option prices and expected payoffs
-
Lo, A.W. (1987). Semi-parametric upper bounds for option prices and expected payoffs. Journal of Financial Economics 19: 373-387.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 373-387
-
-
Lo, A.W.1
-
17
-
-
0009990445
-
Convex majorization with an application to the length of critical path
-
Meilijson, I. & Nadas, A. (1979). Convex majorization with an application to the length of critical path. Journal of Applied Probability 16: 671-677.
-
(1979)
Journal of Applied Probability
, vol.16
, pp. 671-677
-
-
Meilijson, I.1
Nadas, A.2
-
18
-
-
0001668219
-
Extremal properties of extreme value distributions
-
Moriguti, S. (1951). Extremal properties of extreme value distributions. Annals of Mathematical Statistics 22: 523-536.
-
(1951)
Annals of Mathematical Statistics
, vol.22
, pp. 523-536
-
-
Moriguti, S.1
-
22
-
-
0002693448
-
A min-max solution of an inventory problem
-
K.J. Arrow, S. Karlin, & H. Scarf (eds.). Stanford, CA: Stanford University Press
-
Scarf, H. (1958). A min-max solution of an inventory problem. In K.J. Arrow, S. Karlin, & H. Scarf (eds.). Studies in the mathematical theory of inventory and production. Stanford, CA: Stanford University Press, pp. 201-209.
-
(1958)
Studies in the Mathematical Theory of Inventory and Production
, pp. 201-209
-
-
Scarf, H.1
|